I use a mercury pencil light. It is only about 5mm in diameter.
Edmund sells them but you could probably find them cheaper somewhere else.
About $500 for power supply and lamp. I would estimate the lamps last
about 200 hours or more. I last replaced one about two years ago and I
have three in use.

See
http://www.edmundoptics.com/onlinecatalog/displayproduct.cfm?productID=1466&PageNum=1&StartRow=1&itemid=9548